冯乾;

• 1:北京大学国家发展研究院
• 2:中国工商银行博士后科研工作站

摘要(Abstract)：

掌握主权信用评级变动的市场影响及其传染机制,对于投资者、国家金融安全及政府采取应对措施来说都意义重大。文章采用事件研究法,以1990-2013年全球48个经济体发生的评级事件和每日股指收益率数据为样本,实证研究了事件国评级变动对非事件国股票市场的影响及其传染渠道,结果表明:(1)评级下调会对股票市场产生显著为负的超额收益,但评级上调产生的超额收益不显著;(2)股票市场可以提前预测评级下调事件,但不能预测评级上调事件;(3)季风效应对评级调整的市场传染有一定的解释力;(4)净传染效应基本不显著,这说明评级事件的市场传染应该有经济基础,而不是由投资者心理预期这类非基本面因素造成的;(5)溢出效应可以较好地解释评级的市场传染,是评级变动影

关键词(KeyWords)： 主权信用评级;传染效应;股市超额收益;事件研究法

Abstract:

Keywords:

基金项目(Foundation): 国家社会科学基金项目(16CJY035)

作者(Author): 冯乾;

Email:

DOI: 10.16538/j.cnki.jfe.2016.08.006

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• (1)这48个经济体包括:阿根廷、澳大利亚、奥地利、比利时、巴西、加拿大、智利、中国、哥伦比亚、捷克、丹麦、埃及、芬兰、希腊、中国香港、匈牙利、印度、印度尼西亚、爱尔兰、以色列、意大利、日本、约旦、哈萨克斯坦、韩国、黎巴嫩、马来西亚、墨西哥、摩洛哥、新西兰、尼日利亚、巴基斯坦、秘鲁、菲律宾、波兰、葡萄牙、俄罗斯、新加坡、南非、西班牙、斯里兰卡、瑞典、中国台湾、泰国、突尼斯、土耳其、英国、越南。